I'm still getting into the swing of things myself, so will offer some of the things I've been focusing on just in case it helps. Though with the caveat that like others have said, it is different for everyone. If there was a step by step guide this would be so much easier.

First things first: Therapist! I think this is probably the only one that the majority of people agree with (aside from hair removal as allowed). A gender specialist preferably. It was a little daunting to find one in my area, and I have to attend online sessions, and likewise depending on where you are and what you can do financially (limited by insurance, etc.) this may be either a hard or an easy step.
Depending on the status of your hair, you should also immediately look into starting a hair regrowth or at least a loss prevention regimen. My philosophy is that even if I can't get complete coverage, it will shave off some money on a hair transplant bill down the line. This is probably the big time sensitive issue unless you are still in puberty (in which case HRT itself is super time sensitive).
Weight loss has been my other big thing, though I've largely accepted I'll have to finish my weight loss while on hormones if I want to get started anytime soon. But if you have weight to lose, it's easier to get it off beforehand as much as possible.
In the meanwhile between appointments, and while waiting to start Hormones I have chosen to work on the following things in no particular order: Learning what clothes and colors suit me (thank you 10 dollar outfits from
walmart.com!), trying to figure out makeup (mostly beard shadow cover), voice training (mostly just exercises to strengthen voice and work on range rather than actually speaking in a female voice right now), and just generally absorbing whatever I can about socialization as a woman. All of these are long term things that have no particular time frame, some of which you cannot be expected to master quickly but at the same time aren't top of the heap in priority (though it is good to at least start working on voice some, that seems to be one that varies more heavily person to person than just about anything from what I've seen and you may find it comes naturally).
As others have referenced, beginning hair removal if possible is also a good use of your time, but it is also a fairly expensive process and may not always be practical (at least it isn't for me yet). Laser/electrolysis can take years to complete. Going along with this, figure out what works for you shaving if you are on the hairy side (like me

) so that you can at least feel comfortable you are as walking around as smooth as possible without tons of ingrown hairs in between treatments (word on the "street" is that waxing, epilating, and other methods of removal damage long term potential for laser/electro, so seems to pay to get the full body shave down).
Oh, and as for speed bumps to look out for: EVERYTHING! I don't say this to be discouraging, but simply it pays to recognize that none of this comes easy. I've wasted a ton of money on the wrong makeup, I'll get frustrated with voice progress (I'm unrealistic about it because I tend to be good with voices in general, so I get mad I can't immediately settle into a female voice

), and time has just stretched out endlessly for me. Two months has felt like two years, and even though I've made enormous strides it doesn't feel like it most of the time. It can be depressing when you just want everything done right away. For a more specific speed bump, finances are the big one probably. Prepare accordingly, save now, find what your insurance covers, etc.